Description of GAUSS 17 codes and data files for the paper:

Nicolau, J. and P.M.M. Rodrigues (2018) A New Regression-based Tail Index Estimator                                                                
The Review of Economics and Statistics, forthcoming.                                                                                                


1. Description of GAUSS codes

We provide two GAUSS files:
a) NR_Monte_Carlo_codes.gss
This provides the necessary codes for replicating Figures 1-4.

b) NR_Empirical_Analisys_codes.gss
This file provides the codes used in the empircal analysis and corresponds to the file used to generate the results in Figure 5 and Table 1.



2. Data description

us_to_euro.xls

Due to the proprietary nature of the exchange rate data, obtained from Thomson Reuters Datastream, we provide only an example series (us_to_euro.xls) for illustration of application of the codes in NR_Empirical_Analisys_codes.gss. However, detailed estimation results are available in the On-line appendix.

The 74 series downloaded from Datastream, for the period from 3/1/1994 to 16/5/2018, were:

ALBANIAN LEK TO US $ (WMR) - EXCHANGE RATE
ALGERIAN DInanR TO US $ (WMR) - EXCHANGE RATE
ARGENTINE PESO TO US $ (WMR) - EXCHANGE RATE
AUSTRALIAN $ TO US $ (WMR&DS) - EXCHANGE RATE
BANGLADESH TAKA TO US $ (WMR) - EXCHANGE RATE
BOTSWAnanN PULA TO US $ (WMR&DS) - EXCHANGE RATE
BRAZILIAN REAL TO US $ (WMR) - EXCHANGE RATE
BRUNEI $ TO US $ (WMR) - EXCHANGE RATE
BULGARIAN LEV TO US $ (WMR) - EXCHANGE RATE
BURUNDI FRANC TO US $ (WMR) - EXCHANGE RATE
CAnanDIAN $ TO US $ (WMR) - EXCHANGE RATE
CHILEAN PESO TO US $ (WMR) - EXCHANGE RATE
CHINESE YUAN TO US $ (WMR) - EXCHANGE RATE
COLOMBIAN PESO TO US $ (WMR) - EXCHANGE RATE
CROATIAN KUnan TO US $ (WMR) - EXCHANGE RATE
CZECH KORUnan TO US $ (WMR) - EXCHANGE RATE
DANISH KRONE TO US $ (WMR) - EXCHANGE RATE
EGYPTIAN � TO US $ (WMR) - EXCHANGE RATE
EURO TO US $ (WMR&DS) - EXCHANGE RATE
GAMBIAN DALASI TO US $ (WMR) - EXCHANGE RATE
GHAnanIAN CEDI TO US $ (WMR) - EXCHANGE RATE
GUINEA FRANC TO US $ (WMR) - EXCHANGE RATE
HONG KONG $ TO US $ (WMR) - EXCHANGE RATE
HUNGARIAN FORINT TO US $ (WMR) - EXCHANGE RATE
ICELANDIC KROnan TO US $ (WMR) - EXCHANGE RATE
INDIAN RUPEE TO US $ (WMR) - EXCHANGE RATE
INDONESIAN RUPIAH TO US $ (WMR) - EXCHANGE RATE
ISRAELI SHEKEL TO US $ (WMR) - EXCHANGE RATE
JAPANESE YEN TO US $ (WMR) - EXCHANGE RATE
JORDANIAN DInanR TO US $ (WMR) - EXCHANGE RATE
KAZAKHSTAN TENGE TO US $ (WMR) - EXCHANGE RATE
KENYAN SHILLING TO US $ (WMR) - EXCHANGE RATE
KUWAITI DInanR TO US $ (WMR) - EXCHANGE RATE
LATVIAN LAT TO US $ (WMR) - EXCHANGE RATE
LEBANESE � TO US $ (WMR) - EXCHANGE RATE
LITHUANIAN LITA TO US $ (WMR) - EXCHANGE RATE
MALAWIAN KWACHA TO US $ (WMR) - EXCHANGE RATE
MALAYSIAN RINGGIT TO US $ (WMR) - EXCHANGE RATE
MAURITANIAN OUGUYIA TO US $ (WMR) - EXCHANGE RATE
MAURITIUS RUPEE TO US $ (WMR) - EXCHANGE RATE
MEXICAN PESO TO US $ (WMR) - EXCHANGE RATE
MOROCCAN DIRHAM TO US $ (WMR) - EXCHANGE RATE
nanMIBIAN_DOLLAR TO_US_$_(WMR) - EXCHANGE RATE
NEW MOZAMBIQ.METICAL TO US $ (WMR) - EXCHANGE RATE
NEW ROMANIAN LEU TO US $ (WMR) - EXCHANGE RATE
NEW TURKISH LIRA TO US $ (WMR) - EXCHANGE RATE
NEW ZEALAND $ TO US $ (WMR&DS) - EXCHANGE RATE
NIGERIAN nanIRA TO US $ (WMR) - EXCHANGE RATE
NORWEGIAN KRONE TO US $ (WMR) - EXCHANGE RATE
PAKISTAN RUPEE TO US $ (WMR) - EXCHANGE RATE
PARAGUAY GUARANI TO US $ (WMR) - EXCHANGE RATE
PERUVIAN NUEVO SOL TO US $ (WMR) - EXCHANGE RATE
PHILIPPINE PESO TO US $ (WMR) - EXCHANGE RATE
POLISH ZLOTY TO US $ (WMR) - EXCHANGE RATE
QATARI RIAL TO US $ (WMR) - EXCHANGE RATE
RUSSIAN ROUBLE TO US $ (WMR) - EXCHANGE RATE
SAUDI RIYAL TO US $ (WMR) - EXCHANGE RATE
SINGAPORE $ TO US $ (WMR) - EXCHANGE RATE
SOUTH AFRICA RAND TO US $ (WMR) - EXCHANGE RATE
SOUTH KOREAN WON TO US $ (WMR) - EXCHANGE RATE
SRI LANKAN RUPEE TO US $ (WMR) - EXCHANGE RATE
SWEDISH KROnan TO US $ (WMR) - EXCHANGE RATE
SWISS FRANC TO US $ (WMR) - EXCHANGE RATE
TAIWAN NEW $ TO US $ (WMR) - EXCHANGE RATE
TANZANIAN SHILLING TO US $ (WMR) - EXCHANGE RATE
THAI BAHT TO US $ (WMR) - EXCHANGE RATE
TUNISIAN DInanR TO US $ (WMR) - EXCHANGE RATE
UAE DIRHAM TO US $ (WMR) - EXCHANGE RATE
UGANDA NEW SHILLING TO US $ (WMR) - EXCHANGE RATE
UK � TO US $ (WMR) - EXCHANGE RATE
UKRAINE HRYVNIA TO US $ (WMR) - EXCHANGE RATE
URUGUAYAN PESO TO US $ (WMR) - EXCHANGE RATE
VIETnanMESE DONG TO US $ (WMR) - EXCHANGE RATE
ZAMBIAN KWACHA (R) TO US $ (WMR) - EXCHANGE RATE
